Daniel Rösch

Learn More
State-of-the-art credit risk portfolio models and the New Basel Capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies have been introduced by Davis/Lo (2001) among others. However, statistical estimation techniques and empirical evidence on contagion is still rather(More)
The New Basel Capital Accord will allow the determination of banks’ regulatory capital requirements due to default probabilities which are estimated and forecasted from internal ratings. External ratings from rating agencies play fundamental roles in capital and credit markets. Discriminatory power of internal and external ratings is a key requirement for(More)
Among the most crucial input parameters for credit portfolio risk models are the co-movements of default risks. Due to limited empirical evidence about the magnitude of correlations the New Basel Capital Accord sets standard requirements for calculating regulatory capital requirements, e.g. in the Consultative Document as of April 2003 asset correlations(More)
The New Basel Capital Accord will allow the determination of banks’ regulatory capital requirements due to probabilities of default which are estimated and forecasted from internal ratings. Broadly, two rating philosophies are distinguished: Through the Cycle versus Point in Time Ratings. We employ a Likelihood-Ratio backtesting of both types with respect(More)
Many molecules exhibit multiple rotational isomers (conformers) that interconvert thermally and are difficult to isolate. Consequently, a precise characterization of their role in chemical reactions has proven challenging. We have probed the reactivity of specific conformers by using an experimental technique based on their spatial separation in a molecular(More)
Under the Revised International Capital Framework, debtors’ credit ratings and probabilities of default in credit portfolios have a key role in determining minimum regulatory capital requirements. To measure discriminatory power of rating systems, methods such as the area under a ROC curve, the Accuracy Ratio and PowerStat are often used both in academic(More)